关键词: 天然气市场, 液化天然气, 非常规天然气, Kalman滤波, 价格联动

Abstract: Based on the monthly price from 1991-2011 of Europe, AsiaPacific and North America gas markets, the co-integration and Kalman filter methods are used to exam the degree of price comovement in the three regional gas markets; the progress made for gas market integration is exhibited, and suggestions are given to those countries poor in natural gas. It is shown that there is no obvious price comovement between AsianPacific gas market and European/North American gas market. However the price comovement is outstanding between European and North American gas markets; it decreases since 2008 with the massive exploitation of the unconventional natural gas (especially shale gas) in the United States and more flexible trading modes such as natural gas spot contracts, shortterm contracts. Despite of a high degree of price comovement between European and North American markets, the gas market is still far from global integration.

Key words: natural gas market, LNG, unconventional gas, Kalman filter, price co-movement